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I love this kind of "Why ..." question. I'd begin my answer as I
always do to such questions by simply saying, "Because *we* say so."
This answer helps to emphasize that the theories of physics are pure
fabrications of the human mind, that physics is about constructing
mathematical algorithms ("models") that mimic the behavior of nature.
I would go on to point out that we would *not* say so, indeed, that
the energy--defined as *we* have defined it--would simply not appear
in the lexicon of physics, if we had not found it to be supremely
"useful." Its "usefulness" is judged by its prominence and the
frequency with which it appears in our mathematical models and, most
importantly, the extent to which those models make predictions that
are borne out by the verdict of nature itself in experiments.
No answer could *really* be complete, however, without engaging in
something along the lines suggested by John Denker. It is our nature
as human beings to want more than purely pragmatic "natural outcome
prediction algorithms." When a concept is as useful as energy, we just
can't help but suspect that there has to be a more fundamental "reason"
lurking in the background, that our "creation" is *really* a "discovery."
Looking for such reasons is, in some sense, nothing more than engaging
in metaphysical speculation; we don our philosopher hats and wrap our
mathematical models in the magnificent robes of "theories" that provide
a unifying viewpoint and a motivation for the math. Nevertheless, we
can't test our "theories" (in the sense I have used the word here),
because we can't tug on those robes; we can only test the algorithms
around which the robes are wrapped.
We have found, however, that the robes are *themselves* very "useful"
for they have served to guide our attention, to point in directions that
are likely to be fruitful for further, more careful analysis. And, of
course, the usefulness of the robes (which are, again, a creation of
the human mind) serves only to strengthen our conviction that they
"really exist."